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December, 1972 Rank Spectral Processes and Tests for Serial Dependence
R. J. Beran
Ann. Math. Statist. 43(6): 1749-1766 (December, 1972). DOI: 10.1214/aoms/1177690850

Abstract

Rank analogues of the integrated periodogram spectral process are introduced and used to generate distribution-free tests for independence of a set of random variables. Under simple autoregressive alternatives, the rank spectral process with normal scores yields a test of Kolmogorov-Smirnov type whose local asymptotic efficiency relative to the analogous test based on the integrated periodogram is at least one. Moreover, the same rank test has good local asymptotic efficiency relative to tests based on optimally lagged rank serial correlation coefficients.

Citation

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R. J. Beran. "Rank Spectral Processes and Tests for Serial Dependence." Ann. Math. Statist. 43 (6) 1749 - 1766, December, 1972. https://doi.org/10.1214/aoms/1177690850

Information

Published: December, 1972
First available in Project Euclid: 27 April 2007

zbMATH: 0257.62028
MathSciNet: MR351014
Digital Object Identifier: 10.1214/aoms/1177690850

Rights: Copyright © 1972 Institute of Mathematical Statistics

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Vol.43 • No. 6 • December, 1972
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